Package com.opengamma.financial.security.option

Examples of com.opengamma.financial.security.option.CommodityFutureOptionSecurity

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    assertEquals(ExternalId.of(SCHEME, "CASHFLOW"), ids.get(0));
  }

  @Test
  public void testEnergyFutureOptionSecurity() {
    final CommodityFutureOptionSecurity security = ExposureFunctionTestHelper.getEnergyFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "COMMODITYFUTURE_OPTION"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "CASHFLOW_EUR"), ids.get(0));
  }

  @Test
  public void testEnergyFutureOptionSecurity() {
    final CommodityFutureOptionSecurity security = ExposureFunctionTestHelper.getEnergyFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "COMMODITYFUTURE_OPTION_EUR"), ids.get(0));
  }
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  @Test
  public void testEnergyFutureOptionSecurity() {
    final EnergyFutureSecurity future = ExposureFunctionTestHelper.getEnergyFutureSecurity();
    final SecuritySource securitySource = ExposureFunctionTestHelper.getSecuritySource(future);
    final ExposureFunction exposureFunction = new UnderlyingExposureFunction(securitySource);
    final CommodityFutureOptionSecurity security = ExposureFunctionTestHelper.getEnergyFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(exposureFunction);
    assertNull(ids);
  }
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    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }

  @Test
  public void testEnergyFutureOptionSecurity() {
    final CommodityFutureOptionSecurity security = ExposureFunctionTestHelper.getEnergyFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }
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    return security;
  }

  public static CommodityFutureOptionSecurity getEnergyFutureOptionSecurity() {
    final UniqueId underlyingId = getEnergyFutureSecurity().getUniqueId();
    final CommodityFutureOptionSecurity security = new CommodityFutureOptionSecurity(SETTLEMENT, TRADING, new Expiry(DateUtils.getUTCDate(2013, 1, 1)), new AmericanExerciseType(),
        ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()), 125, EUR, 120, OptionType.CALL);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "9357"));
    return security;
  }
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      if (exchangeMIC != null) {
        exchangeCode = exchangeMIC;
      }
    }

    final CommodityFutureOptionSecurity security = new CommodityFutureOptionSecurity(
      exchangeCode,
      exchangeCode,
      expiry,
      getExerciseType(optionExerciseType),
      buildUnderlyingTicker(underlingTicker),
      pointValue,
      ogCurrency,
      optionStrikePrice / 100, // Strike in percent //TODO: use normalization (like in BloombergRateClassifier)?
      optionType);
    security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
    security.setUniqueId(BloombergSecurityProvider.createUniqueId(bbgUniqueID));
    //build option display name
    StringBuilder buf = new StringBuilder(rootTicker);
    buf.append(" ");
    buf.append(expiryDate);
    if (optionType == OptionType.CALL) {
      buf.append(" C ");
    } else {
      buf.append(" P ");
    }
    buf.append(optionStrikePrice);
    security.setName(buf.toString());
    return security;
  }
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    final ExternalId underlyingIdentifier = ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "US0003M Index");
    final double pointValue = 0;
    final Currency currency = currency();
    final double strike = 0;
    final OptionType optionType = optionType();
    final CommodityFutureOptionSecurity security = new CommodityFutureOptionSecurity(tradingExchange, settlementExchange, expiry, exerciseType, underlyingIdentifier, pointValue, currency, strike,
          optionType);
    store(security);
    return security;
  }
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    assertNull(ids);
  }

  @Test
  public void testEnergyFutureOptionSecurity() {
    final CommodityFutureOptionSecurity security = ExposureFunctionTestHelper.getEnergyFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "COMMODITYFUTURE_OPTION_Y"), ids.get(0));
  }
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    assertNull(ids);
  }

  @Test
  public void testEnergyFutureOptionSecurity() {
    final CommodityFutureOptionSecurity security = ExposureFunctionTestHelper.getEnergyFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertNull(ids);
  }

  @Test
  public void testEnergyFutureOptionSecurity() {
    final CommodityFutureOptionSecurity security = ExposureFunctionTestHelper.getEnergyFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "COMMODITYFUTURE_OPTION_X"), ids.get(0));
  }
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Related Classes of com.opengamma.financial.security.option.CommodityFutureOptionSecurity

  • com.opengamma.bbg.loader.BloombergSecurityLoaderTest
  • com.opengamma.bbg.loader.CommodityFutureOptionLoader
  • com.opengamma.bbg.util.BloombergSecurityUtils
  • com.opengamma.financial.analytics.curve.exposure.ContractCategoryExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.CurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
  • com.opengamma.financial.analytics.curve.exposure.RegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndCurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndRegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndSettlementExchangeExposureFunctionTest
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